In SharePoint Online, if you create a link in the Document Library, when you point to that link, you’ll get this instead of the redirect to the target URL:
hmm… looks like this file doesn’t have a preview we can show you.
Users will need to know to click Open, which is confusing.
Here is what needs to be done so that your links open directly without the document preview (click to make larger).
Now, when creating a link, pick this option instead of just “Link”:
Fill in the details like this:
Save the file and that’s it, now users will be able to open the link directly without the preview: